1. Jensen's alpha = actual return − expected return using CAPM
2. CAPM E(R) = risk-free rate + beta × (return on the market − risk-free rate)
   Return on the market − risk-free rate = market risk premium.

Use Jensen's alpha of 4.75% and the actual return of 14.2%. The expected return from CAPM must be 14.2% − 4.75% = 9.45%.

Use this value in the CAPM to find the beta of the portfolio.

expected return = risk-free rate + beta × market risk premium
9.45% = 4.25% + β × 6%, therefore β = approximately 0.87

(Book 1, Module 5.3, LO 5.g)